C:\Documents and Settings\Username\Local Settings\Temporary Internet Files
By default you cannot see "Temporary Internet Files" within "Local Settings" unless you first enable viewing "Hidden Files" and enable viewing "Hide protected operating system files".
To do so you need to open My Computer then click the "Tools" (in Vista hold ALT to see the tools option on the menu bar) then click "Folder Options" and when the new window opens click the "View" tab, then scroll and look for "Hidden Files and folders" and "Hide protected operating system files".
You can disable both for the period of time in which you wish to backup your cookies.
After that DO NOT mess with any other files as hidden files are hidden to ensure you do not remove them or modify them. Cookies are fine to modify. After you are done re-enable the hidden files and folders and the protected operating system.